Discrete Mathematics with Graph Theory
3rd Edition
ISBN: 9780131679955
Author: Edgar G. Goodaire
Publisher: Prentice Hall
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Textbook Question
Chapter 12.3, Problem 5TFQ
If Prim’s algorithm is applied to 
we might end up with 
.
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Students have asked these similar questions
In this problem, we consider a Brownian motion (W+) t≥0. We consider a stock model (St)t>0
given (under the measure P) by
d.St 0.03 St dt + 0.2 St dwt,
with So 2. We assume that the interest rate is r = 0.06. The purpose of this problem is to
price an option on this stock (which we name cubic put). This option is European-type, with
maturity 3 months (i.e. T = 0.25 years), and payoff given by
F = (8-5)+
(a) Write the Stochastic Differential Equation satisfied by (St) under the risk-neutral measure
Q. (You don't need to prove it, simply give the answer.)
(b) Give the price of a regular European put on (St) with maturity 3 months and strike K = 2.
(c) Let X =
S. Find the Stochastic Differential Equation satisfied by the process (Xt)
under the measure Q.
(d) Find an explicit expression for X₁ = S3 under measure Q.
(e) Using the results above, find the price of the cubic put option mentioned above.
(f) Is the price in (e) the same as in question (b)? (Explain why.)
Problem 4. Margrabe formula and the Greeks (20 pts)
In the homework, we determined the Margrabe formula for the price of an option allowing you to
swap an x-stock for a y-stock at time T. For stocks with initial values xo, yo, common volatility
σ and correlation p, the formula was given by
Fo=yo (d+)-x0Þ(d_),
where
In (±²
Ꭲ
d+
õ√T
and
σ = σ√√√2(1 - p).
дго
(a) We want to determine a "Greek" for ỡ on the option: find a formula for
θα
(b) Is
дго
θα
positive or negative?
(c) We consider a situation in which the correlation p between the two stocks increases: what
can you say about the price Fo?
(d) Assume that yo< xo and p = 1. What is the price of the option?
The Course Name Real Analysis please Solve questions by Real Analysis
Chapter 12 Solutions
Discrete Mathematics with Graph Theory
Ch. 12.1 - Prob. 1TFQCh. 12.1 - Prob. 2TFQCh. 12.1 - Prob. 3TFQCh. 12.1 - Prob. 4TFQCh. 12.1 - Prob. 5TFQCh. 12.1 - Prob. 6TFQCh. 12.1 - Prob. 7TFQCh. 12.1 - Prob. 8TFQCh. 12.1 - Prob. 9TFQCh. 12.1 - Prob. 10TFQ
Ch. 12.1 - Prob. 1ECh. 12.1 - Prob. 2ECh. 12.1 - Prob. 3ECh. 12.1 - Prob. 4ECh. 12.1 - Prob. 5ECh. 12.1 - Prob. 6ECh. 12.1 - Prob. 7ECh. 12.1 - Prob. 8ECh. 12.1 - 9. The vertices in the graph represent town; the...Ch. 12.1 - Prob. 11ECh. 12.1 - 12. [BB] suppose and are two paths from a vertex...Ch. 12.1 - Prob. 13ECh. 12.1 - Prob. 14ECh. 12.1 - Prob. 15ECh. 12.1 - Prob. 16ECh. 12.1 - 17. [BB] Recall that a graph is acyclic if it has...Ch. 12.1 - Prob. 18ECh. 12.1 - Prob. 19ECh. 12.1 - Prob. 20ECh. 12.1 - Prob. 21ECh. 12.1 - Prob. 22ECh. 12.1 - The answers to exercises marked [BB] can be found...Ch. 12.1 - Prob. 24ECh. 12.1 - Prob. 25ECh. 12.1 - A forest is a graph every component of which is a...Ch. 12.1 - Prob. 27ECh. 12.2 - Prob. 1TFQCh. 12.2 - Prob. 2TFQCh. 12.2 - Prob. 3TFQCh. 12.2 - Prob. 4TFQCh. 12.2 - Prob. 5TFQCh. 12.2 - Prob. 6TFQCh. 12.2 - Prob. 7TFQCh. 12.2 - Prob. 8TFQCh. 12.2 - Prob. 9TFQCh. 12.2 - Prob. 1ECh. 12.2 - Prob. 2ECh. 12.2 - Prob. 3ECh. 12.2 - Prob. 4ECh. 12.2 - Prob. 5ECh. 12.2 - Prob. 6ECh. 12.2 - Prob. 7ECh. 12.2 - Prob. 8ECh. 12.2 - Prob. 9ECh. 12.2 - Prob. 10ECh. 12.2 - Prob. 11ECh. 12.2 - Prob. 12ECh. 12.2 - Prob. 13ECh. 12.2 - Prob. 14ECh. 12.2 - Prob. 15ECh. 12.2 - Prob. 16ECh. 12.2 - Prob. 17ECh. 12.3 - If Kruskal’s algorithm is applied to after one...Ch. 12.3 - 2. If Kruskal’s algorithm is applied to we might...Ch. 12.3 - 3. If Kruskal’s algorithm is applied to we might...Ch. 12.3 - If Prim’s algorithm is applied to after one...Ch. 12.3 - If Prims algorithm is applied to we might end up...Ch. 12.3 - If Prims algorithm is applied to we might end up...Ch. 12.3 - Prob. 7TFQCh. 12.3 - Prob. 8TFQCh. 12.3 - Prob. 9TFQCh. 12.3 - Prob. 10TFQCh. 12.3 - Prob. 1ECh. 12.3 - Prob. 2ECh. 12.3 - Prob. 3ECh. 12.3 - Prob. 4ECh. 12.3 - The answers to exercises marked [BB] can be found...Ch. 12.3 - Prob. 6ECh. 12.3 - Prob. 7ECh. 12.3 - Prob. 8ECh. 12.3 - Prob. 9ECh. 12.3 - Prob. 10ECh. 12.3 - Prob. 11ECh. 12.3 - In our discussion of the complexity of Kruskals...Ch. 12.3 - Prob. 13ECh. 12.3 - Prob. 14ECh. 12.3 - Prob. 15ECh. 12.3 - Prob. 16ECh. 12.3 - Prob. 17ECh. 12.3 - Prob. 18ECh. 12.4 - The digraph pictured by is a cyclic.Ch. 12.4 - Prob. 2TFQCh. 12.4 - Prob. 3TFQCh. 12.4 - Prob. 4TFQCh. 12.4 - Prob. 5TFQCh. 12.4 - Prob. 6TFQCh. 12.4 - Prob. 7TFQCh. 12.4 - Prob. 8TFQCh. 12.4 - Prob. 9TFQCh. 12.4 - Prob. 10TFQCh. 12.4 - Prob. 1ECh. 12.4 - Prob. 2ECh. 12.4 - Prob. 3ECh. 12.4 - Prob. 4ECh. 12.4 - 5. The algorithm described in the proof of...Ch. 12.4 - How many shortest path algorithms can you name?...Ch. 12.4 - Prob. 7ECh. 12.4 - Prob. 8ECh. 12.4 - Prob. 10ECh. 12.4 - Prob. 11ECh. 12.4 - Prob. 12ECh. 12.4 - [BB] Explain how Bellmans algorithm can be...Ch. 12.4 - Prob. 14ECh. 12.5 - Prob. 1TFQCh. 12.5 - Depth-first search has assigned labels 1 and 2 as...Ch. 12.5 - Depth-first search has assigned labels 1 and 2 as...Ch. 12.5 - Prob. 4TFQCh. 12.5 - Prob. 5TFQCh. 12.5 - Prob. 6TFQCh. 12.5 - Prob. 7TFQCh. 12.5 - Prob. 8TFQCh. 12.5 - 9. Breadth-first search (see exercise 10) has...Ch. 12.5 - Prob. 10TFQCh. 12.5 - Prob. 1ECh. 12.5 - Prob. 2ECh. 12.5 - Prob. 3ECh. 12.5 - 4. (a) [BB] Let v be a vertex in a graph G that is...Ch. 12.5 - Prob. 5ECh. 12.5 - Prob. 6ECh. 12.5 - Prob. 7ECh. 12.5 - Prob. 8ECh. 12.5 - Prob. 9ECh. 12.5 - Prob. 10ECh. 12.5 - [BB; (a)] Apply a breath-first search to each of...Ch. 12.5 - Prob. 12ECh. 12.5 - Prob. 13ECh. 12.5 - Prob. 14ECh. 12.6 - Prob. 1TFQCh. 12.6 - Prob. 2TFQCh. 12.6 - Prob. 3TFQCh. 12.6 - Prob. 4TFQCh. 12.6 - Prob. 5TFQCh. 12.6 - Prob. 6TFQCh. 12.6 - Prob. 7TFQCh. 12.6 - Prob. 8TFQCh. 12.6 - Prob. 9TFQCh. 12.6 - Prob. 10TFQCh. 12.6 - Prob. 1ECh. 12.6 - Prob. 2ECh. 12.6 - Prob. 3ECh. 12.6 - Prob. 4ECh. 12.6 - Prob. 5ECh. 12.6 - Prob. 6ECh. 12.6 - Prob. 7ECh. 12.6 - Prob. 8ECh. 12.6 - Prob. 9ECh. 12.6 - Prob. 10ECh. 12.6 - Prob. 11ECh. 12.6 - Prob. 12ECh. 12.6 - Prob. 13ECh. 12.6 - Prob. 14ECh. 12.6 - Prob. 15ECh. 12 - Prob. 1RECh. 12 - Prob. 2RECh. 12 - Prob. 3RECh. 12 - Prob. 4RECh. 12 - 5. (a) Let G be a graph with the property that...Ch. 12 - Prob. 6RECh. 12 - Prob. 7RECh. 12 - Prob. 8RECh. 12 - Prob. 9RECh. 12 - Prob. 10RECh. 12 - Prob. 11RECh. 12 - Prob. 12RECh. 12 - Prob. 13RECh. 12 - Prob. 14RECh. 12 - Prob. 15RECh. 12 - Prob. 16RECh. 12 - Prob. 17RECh. 12 - Prob. 18RECh. 12 - In each of the following graphs, a depth-first...Ch. 12 - Prob. 20RECh. 12 - Prob. 21RECh. 12 - Prob. 22RECh. 12 - Prob. 23RECh. 12 - Prob. 24RECh. 12 - Prob. 25RECh. 12 - Prob. 26RE
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